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An equilibrium pricing model for weather derivatives in a multi-commodity setting
6 references·3 citing·41 second hop
An equilibrium pricing model for weather derivatives in a multi-commodity setting (2009)An equilibrium pricing model for weather …Portfolio Effects and Valuation of Weather Derivatives (2006)Portfolio Effects and Valuati…Pricing Weather Derivatives (2004)Pricing Weather DerivativesA Fair Pricing Approach to Weather Derivatives (2004)A Fair Pricing Approach to We…12 Modeling Electricity Forward Curve Dynamics in the Nordic Market (2004)12 Modeling Electricity Forwa…Optimal positioning in derivative securities (2001)Optimal positioning in deriva…Mean-Variance Versus Direct Utility Maximization (1984)Mean-Variance Versus Direct U…Pricing analysis of wind power derivatives for renewable energy risk management (2021)Pricing analysis of wind powe…Risk management of renewable power producers from co-dependencies in cash flows (2019)Risk management of renewable …Cross-hedging and forward-contract pricing of electricity in the Pacific Northwest (2011)Cross-hedging and forward-con…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Weather Derivatives and Stochastic Modelling of Temperature (2011)On the History of the Growth-Optimal Portfolio (2012)A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Optimal derivatives design under dynamic risk measures (2004)A Century of Research on Agricultural Markets (2010)Assessing and hedging the cost of unseasonal weather: Case of the apparel sector (2015)Cross Hedging (1981)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets (2002)Option pricing when underlying stock returns are discontinuous (1976)Stock prices and the Wall Street weather (1993)Good Day Sunshine: Stock Returns and the Weather (2003)Mean–Variance Hedging (2010)Robust portfolio selection problem under temperature uncertainty (2016)The pricing of commodity contracts (1976)Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution (2010)Representation of Infinite-Dimensional Forward Price Models in Commodity Markets (2014)“Options, Futures, and Other Derivatives” (2016)A survey of electricity spot and futures price models for risk management applications (2021)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights (1999)Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments (2003)Optimal Portfolio Allocation under Higher Moments (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Prices of State-Contingent Claims Implicit in Option Prices (1978)A Theory of Volatility Spreads (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Crash-neutral currency carry trades (2014)Stock market returns: A note on temperature anomaly (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Strategic choices for renewable energy investment: Conceptual framework and opportunities for further research (2011)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)
this work references cited by second hop

References

  • 1984Mean-Variance Versus Direct Utility Maximization527 cited
  • 2001Optimal positioning in derivative securities382 cited
  • 2004Pricing Weather Derivatives167 cited
  • 2004A Fair Pricing Approach to Weather Derivatives54 cited
  • 200412 Modeling Electricity Forward Curve Dynamics in the Nordic Market43 cited
  • 2006Portfolio Effects and Valuation of Weather Derivatives38 cited

Cited by

  • 2021Pricing analysis of wind power derivatives for renewable energy risk management28 cited
  • 2011Cross-hedging and forward-contract pricing of electricity in the Pacific Northwest22 cited
  • 2019Risk management of renewable power producers from co-dependencies in cash flows18 cited

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